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Talk about Adafruit Raspberry Pi® accessories! Please do not ask for Linux support, this is for Adafruit products only! For Raspberry Pi help please visit: http://www.raspberrypi.org/phpBB3/

For testing, I made a simple circuit with a LED and Resistor. This works nicely when I connect to the 3.3v and GND.

I wanted to control this with Python so I connected the GND cable to #18 (From Tutorials on the web) and tried to turn it on using GPIO.setup(18, GPIO.OUT) / GPIO.output(18, True). This didn't do anything, the LED wouldn't light up.

The Only way I can get it to work is when I plug the 3.3V cable into #24 (!). Like that I can control the LED with #18 in Python.

You might have done what I did. I plugged the wrong end of the ribbon cable into the Pi. This meant that the connections on the cobbler were backwards since it has a keyed connector. Be sure the stripe on the ribbon cable is pointed towards pin 1 on the Pi.

One observation - if you connected the ground side of the LED (GND as you say) to pin 18, you would want to set that pin to False to turn the LED on, not True. True would raise the pin's output to high, and there would be no current flow. If you want to use True to run the LED on, reverse the LED and re-connect your GND lead to ground.